PT - JOURNAL ARTICLE AU - Ivo Ph. Jansen AU - Andrei L. Nikiforov TI - Fear and Greed: <em>A Returns-Based Trading Strategy around Earnings Announcements</em> AID - 10.3905/jpm.2016.42.4.088 DP - 2016 May 31 TA - The Journal of Portfolio Management PG - 88--95 VI - 42 IP - 4 4099 - https://pm-research.com/content/42/4/88.short 4100 - https://pm-research.com/content/42/4/88.full AB - This article documents that earnings announcements serve as a reality check on short-term, fear- and greed-driven price development. Stocks with extreme abnormal returns in the week before an earnings announcement experience strong price reversals around the announcement. Basedon the findings of the authors, a trading strategy that exploits this reversal would have been profitable in 40 of the last 42 years and earned abnormal returns in excess of 1.3% over a two day-window.TOPICS: In markets, portfolio management/multi-asset allocation